Joanna Tumilewicz- PhD
- University of Wrocław
Joanna Tumilewicz
- PhD
- University of Wrocław
About
8
Publications
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Introduction
Current institution
Publications
Publications (8)
In this paper, we analyse some equity-linked contracts that are related to drawdown and drawup events based on assets governed by a geometric spectrally negative L\'evy process. Drawdown and drawup refer to the differences between the historical maximum and minimum of the asset price and its current value, respectively. We consider four contracts....
W artykule rozważamy ubezpieczenie zabezpieczające inwestora przed dużym spadkiem wartości aktywa poniżej jego maksymalnej wartości o pewną określoną wartość. Opisane zachowanie wartości bazowego instrumentu może powodować olbrzymie straty udziałowcom, a w związku z tym, jest równocześnie sytuacją, przed którą należy się zabezpieczyć.
W pracy model...
In this paper we study perpetual American call and put options in an exponential L\'evy model. We consider a negative effective discount rate which arises in a number of financial applications including stock loans and real options, where the strike price can potentially grow at a higher rate than the original discount factor. We show that in this...
In this paper we study perpetual American call and put options in an exponential L\'evy model. We consider a negative effective discount rate which arises in a number of financial applications including stock loans and real options, where the strike price can potentially grow at a higher rate than the original discount factor. We show that in this...
In this paper, we analyse some equity-linked contracts that are related to drawdown and drawup events based on assets governed by a geometric spectrally negative L\'evy process. Drawdown and drawup refer to the differences between the historical maximum and minimum of the asset price and its current value, respectively. We consider four contracts....
In this paper we consider some insurance policies related with drawdown and drawup events of log-returns for an underlying asset modeled by a spectrally negative geometric L\'evy process. We consider four contracts among which three were introduced in Zhang et al. (2013) for a geometric Brownian motion. The first one is an insurance contract where...
In this paper we consider some insurance policies related to drawdown and drawup events of log-returns for an underlying asset modeled by a spectrally negative geometric L\'evy process. We consider four contracts, three of which were introduced in Zhang et al. (2013) for a geometric Brownian motion. The first one is an insurance contract where the...
